To be honest, if you really analyse it, you'll find that defining your 'self', or even being able to identify what such a thing is, is quite slippery. For example... you probably have this idea that there is the world, outside of you, and then you, this 'person'. But where is that divide, in actuality? Does it start at the borders of your body? Or of your brain? Or maybe just a tiny portion of your brain where consciousness resides? If it even resides in there at all?
After all, *every* experience you will ever have is happening in your consciousness... so technically you never really get outside of that box at all. When you look at the sky, even in a materalist world view you're only seeing the image of it in your mind, produced as a synthesis of input from the senses. You never truly touch the world 'out there', only a reflection of it. Which raises question to whether 'out there' even exists.
For instance... each night we fall asleep and dream up imaginary worlds, all in our mind. So the faculty is there within us to create universes that exist only within us. So... anything is possible.
That's why I keep a very open mind, without too much attachment to particular ideas or identities. The first prisons we build are the ones in our mind.
Other than that I just relax and enjoy the ride, and follow the same simple human maxims as we all do - pursuit of what gives me peace and pleasure, avoidance of what gives me pain and turmoil. Though sometimes you have to sacrifice the short term for the long term ;).